On Exponential Local Martingales Connected with Diffusion Processes

DOI10.1002/mana.19841190108zbMath0565.60063OpenAlexW1996755914MaRDI QIDQ3680025

Hans-Jürgen Engelbert, Wolfgang M. Schmidt

Publication date: 1984

Published in: Mathematische Nachrichten (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/mana.19841190108

zbMATH Keywords

exponential local martingaleexistence of weak solutions of stochastic differential equations

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Diffusion processes (60J60) Local time and additive functionals (60J55)

Related Items (9)

The Novikov and entropy conditions of multidimensional diffusion processes with singular drift ⋮ On exponential local martingales associated with strong Markov continuous local martingales ⋮ On exponential moments of two Brownian functionals ⋮ Construction of local solutions to sde's with singular drift ⋮ Weak tail conditions for local martingales ⋮ Brownian motion with singular time-dependent drift ⋮ ON THE MARTINGALE PROPERTY IN STOCHASTIC VOLATILITY MODELS BASED ON TIME-HOMOGENEOUS DIFFUSIONS ⋮ A weak convergence criterion for constructing changes of measure ⋮ On Stochastic Differential Equations with Locally Unbounded Drift

Cites Work

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